A Jump Difusion Yield Factor Model of Interest Rate
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References listed on IDEAS
- Ait-Sahalia, Yacine, 1996.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
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Cited by:
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005.
"Consistency Problems for Jump-diffusion Models,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 101-119.
- Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003. "Consistency Problems For Jump-Diffusion Models," Finance 0304003, University Library of Munich, Germany.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2002-10-23 (Risk Management)
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